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Computing arbitrage upper bounds on basket options in the presence of bid–ask spreads

✍ Scribed by Javier Peña; Juan C. Vera; Luis F. Zuluaga

Book ID
116437041
Publisher
Elsevier Science
Year
2012
Tongue
English
Weight
259 KB
Volume
222
Category
Article
ISSN
0377-2217

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The effect of multiple listings on the b
The effect of multiple listings on the bid–ask spread in option markets: The case of Montreal Exchange
✍ Nabil Khoury; Klaus P. Fischer 📂 Article 📅 2002 🏛 John Wiley and Sons 🌐 English ⚖ 122 KB

## Abstract In this article, we examine the effect of multiple listings of options on their bid–ask spread, by comparing options contracts listed only on the Montreal Exchange with those interlisted on that exchange and on a U.S. exchange as well. Using a statistical procedure adapted to panel data